Persistence & Survivorship Bias in Mutual Funds: An Indian Experience PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Persistence & Survivorship Bias in Mutual Funds: An Indian Experience PDF full book. Access full book title Persistence & Survivorship Bias in Mutual Funds: An Indian Experience by Manju Punia Chopra. Download full books in PDF and EPUB format.
Author: Manju Punia Chopra
Publisher: LAP Lambert Academic Publishing
ISBN: 9783847347828
Category :
Languages : en
Pages : 88
Get Book Here
Book Description
This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
Author: Manju Punia Chopra
Publisher: LAP Lambert Academic Publishing
ISBN: 9783847347828
Category :
Languages : en
Pages : 88
Get Book Here
Book Description
This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
Author: Svetla Kirilova Tzenova
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
Get Book Here
Book Description
Author: Mark Monroe Carhart
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 322
Get Book Here
Book Description
Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages : 161
Get Book Here
Book Description
Author: Xinghua Liang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 0
Get Book Here
Book Description
This paper examines the influence of the survivorship bias on performance persistence in Canadian mutual funds. Our sample covers the period of January 1986 till December 1999. Spreads of the survivorship bias on mutual fund returns are gauged by comparing the difference between the sample of surviving funds and the sample of surviving and defunct funds. The comparisons are conducted first only on equity funds, and later on funds in all categories. Contingency tables are used to address the question of performance persistence. Cross Product Ratios (CPR) are obtained for all funds, active and inactive, on an annual basis. Probit models are used to explore the odds of and factors that contribute to the disappearance of funds. Major findings of this study are as follows. The effects of the survivorship bias on Canadian mutual funds are nontrivial. Persistence of fund performance has been found, while reversals are also observed. The persistence is correlated across managers; this may be due to certain common factors. An examination of fund disappearance in the probit models indicates that funds' return, size, and expense ratios are significant predictors of fund's attrition, while the optional sales charges, whether a fund is affiliated with an insurance company, and how long the fund has been in existence are also significant other factors. These results are consistent with those reported for the US mutual fund industry.
Author: Mark M. Carhart
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 161
Get Book Here
Book Description
Author: Jennifer N. Carpenter
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
Get Book Here
Book Description
We generate samples of fund returns calibrated to match the U.S. mutual fund industry and simulate standard tests of performance persistence. We consider a variety of alternative return generating processes, survival criteria, and test methodologies. When survival depends on performance over several periods, survivorship bias induces spurious reversals, despite the presence of cross-sectional heteroskedasticity in performance. In samples which are largely free of survivorship bias, look-ahead biased methodologies and missing returns still affect statistics. In samples with no true persistence, the spurious persistence caused by survivorship bias in the presence of single-period survival criteria never reaches the magnitude found in recent empirical studies. When fund returns are truly persistent, the simulations reveal an attrition effect, distinct from survivorship bias. The systematic disappearance of poor performers causes mean persistence measures to differ from those in a hypothetical sample in which funds never disappear, even in tests which incorporate all data on disappearing funds. The magnitude and direction of this effect depends on the return generating process. We also examine the specification and power of the persistence tests. The t-test for the difference between top and bottom portfolios ranked by past performance is the best specified under the null and among the most powerful against the alternatives we consider.
Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) quot;hot handsquot; result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages : 67
Get Book Here
Book Description
This paper offers a comprehensive study of survivorship issues, in the context of mutual fund research, using the mutual fund data set of Carhart (1997). We find that funds in our sample disappear primarily because of multi-year poor performance. Then we demonstrate analytically that this survival rule typically causes the survivor bias in average performance to increase in the length of the sample period, though it is possible to construct counterexamples. In the data, we find a strong positive relation between the survivor bias in average performance and sample period length. The bias is economically small at 17 basis points per annum for one-year samples, but a significantly larger one percent per annum for samples longer than fifteen years. We also find evidence of performance persistence in our sample and, consistent with the presence of a multi-period survival rule, we find that the persistence is weakened by survivorship bias. Finally, we explain how the relation between performance and fund characteristics can be affected by the use of a survivor-only sample and show that the magnitudes of the biases in the slope coefficients are large for fund size, expenses, turnover and load fees in our sample. Because survivorship issues are relevant for many data sets used in finance, the analysis in this paper has potential applications in areas of financial economics beyond just mutual fund research.
Author: Dimitris Kenourgios
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
Get Book Here
Book Description
This paper examines the past performances of mutual funds as a criterion for investors' future choices. In particular, it examines if mutual funds (which invested in the U.K. stock market) that have presented the highest return through one or two years continue the same high performances through the future years. We start our analysis by calculating the annually returns of all funds and the Jensen's measure of performance (in the context of CAPM). Moreover, we test persistence by constructing two-way tables showing the successful performance over successive two-year and one year period. Afterwards, we simulate a strategy of investing in the top performing mutual funds during the preceding two years. We conclude that in 1990s persistence is weak. We do not find strong evidence that past returns provide information about future returns. As most of the results in relevant studies, our results may be subject to survivorship bias, because we do not include in our sample funds that have ceased to exist or merged or started their operation after 1990 (they do not have complete observations).
